Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.2205
Annualized Std Dev 0.6369
Annualized Sharpe (Rf=0%) 0.3461

Row

Daily Return Statistics

Close
Observations 3069.0000
NAs 1.0000
Minimum -0.4359
Quartile 1 -0.0151
Median 0.0030
Arithmetic Mean 0.0016
Geometric Mean 0.0008
Quartile 3 0.0209
Maximum 0.3107
SE Mean 0.0007
LCL Mean (0.95) 0.0002
UCL Mean (0.95) 0.0030
Variance 0.0016
Stdev 0.0401
Skewness -0.6908
Kurtosis 12.3441

Downside Risk

Close
Semi Deviation 0.0297
Gain Deviation 0.0273
Loss Deviation 0.0330
Downside Deviation (MAR=210%) 0.0329
Downside Deviation (Rf=0%) 0.0290
Downside Deviation (0%) 0.0290
Maximum Drawdown 0.8646
Historical VaR (95%) -0.0604
Historical ES (95%) -0.0981
Modified VaR (95%) -0.0619
Modified ES (95%) -0.1350
From Trough To Depth Length To Trough Recovery
2018-08-30 2020-03-23 2021-03-11 -0.8646 636 392 244
2009-01-09 2009-03-09 2009-05-06 -0.6324 81 40 41
2011-05-02 2011-10-03 2013-05-17 -0.6317 515 108 407
2015-06-24 2016-02-11 2016-11-17 -0.5155 356 161 195
2010-04-26 2010-07-06 2010-12-21 -0.4785 168 50 118

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 -8.2 -4.1 3.9 0.5 10 2 0.7 -7 -9.6 -8.7 4.1 -3 -19.6
2010 5.1 5.1 3.3 -5.6 -7.3 -1.2 0.7 9.9 1 -0.1 6.3 -0.4 16.4
2011 4.3 -5.3 1.8 0.8 -7.3 4.8 -2.3 -4.2 -8.4 -8.8 -0.8 -1.2 -24.5
2012 4.2 2.4 0.5 1.9 -8.8 7.8 -2.6 1.4 -1.2 7.2 -0.4 4.2 16.6
2013 2.4 -0.7 -2.7 -5.4 -3.1 3.6 6.3 -4.5 4.3 0.3 -1.2 1 -0.4
2014 -1.4 0.6 2.6 0.5 -0.7 2.3 -0.7 1.5 -4.1 3.4 -3.8 -3.2 -3.3
2015 -4.2 -1.3 -1.2 2.6 0.8 0.8 0.4 -8.2 -0.6 -0.4 2.4 -3.4 -12
2016 -0.4 6.7 1.6 -1.7 1.2 0.7 -0.9 -0.5 2.3 -3.2 -1 -1.5 3.1
2017 -0.9 5 0.3 1.2 4.7 0.2 0.6 1.5 0.4 -1 -0.8 -1.7 9.6
2018 0.6 -0.9 4.2 1 1.8 0.4 -0.7 0.7 -2.5 6.2 1.9 2.7 16.1
2019 0.7 2.3 3.9 -3.5 -2.9 0.7 -4.8 0.6 -5.6 4.4 -3.2 0.5 -7.2
2020 -6.1 -5.9 -16.6 -10.5 3.8 -2.1 -2.5 2.3 3.7 -2.1 3.5 0.3 -29.4
2021 6.2 8.5 0.1 NA NA NA NA NA NA NA NA NA 15.3

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart